29 citations · 38 across the 9 of their papers we have counts for
4 papers · 1 filter
Sensitivity of Optimal Retirement Problem to Liquidity Constraints
Guodong Ding, Daniele Marazzina
In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain funct…
Effect of Labour Income on the Optimal Bankruptcy Problem
Guodong Ding, Daniele Marazzina
In this paper we deal with the optimal bankruptcy problem for an agent who can optimally allocate her consumption rate, the amount of capital invested in the risky asset as well as…
Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
Carolyn E. Phelan, Daniele Marazzina, Guido Germano
We present new numerical schemes for pricing perpetual Bermudan and American options as well as -quantile options. This includes a new direct calculation of the optimal exercise…
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms
Guido Germano, Carolyn E Phelan, Daniele Marazzina +1
We present numerical methods based on the fast Fourier transform (FFT) to solve convolution integral equations on a semi-infinite interval (Wiener-Hopf equation) or on a finite int…